JPMorgan to price double short US Long Bond Treasury Futures ETNs

By Marisa Wong

Madison, Wis., Sept. 9 - JPMorgan Chase & Co. plans to price 0% double short US Long Bond Treasury Futures exchange-traded notes due Sept. 30, 2025 based on the NYSE US Long Bond Treasury Futures index, according to an FWP filing with the Securities and Exchange Commission.

The index aims to replicate the returns of maintaining a continuous rolling long position in CBOT U.S. Treasury bond futures contracts.

The notes are putable at any time, subject to a minimum of 50,000 securities.

The notes are callable beginning Sept. 30, 2011 at a cash payment equal to the closing note value on the applicable valuation date. The notes will also be automatically called if the closing note value is equal to $0, in which case investors will receive nothing.

The initial closing note value is par of $50. On each subsequent trading day, the closing note value is equal to (i) the sum of (a) the closing note value of the preceding reset date, plus (b) the reset exposure amount of the preceding reset date times the index return on that day, plus (c) the cash return amount for that day, less (ii) the investor fee for that day.

The initial reset exposure amount is equal to negative 200% times the principal amount. On each subsequent reset date, the exposure amount is a negative number, or zero, equal to negative 200% times the closing note value on the preceding reset determination date.

The exposure amount will be reset to negative 200% after the last trading day in each calendar quarter beginning Dec. 31 or after any trading day on which the current percentage exposure is greater in magnitude than negative 220% or less in magnitude than negative 180%.

On a reset date, the current exposure amount is equal to the reset exposure amount. On any other trading day, the current exposure amount is equal to the reset exposure amount on the preceding reset date times the index closing level on that day, divided by the index closing level on the preceding reset date.

The payout at maturity will be a cash payment equal to the closing note value on Sept. 25, 2025.

The issuer plans to list the notes on the NYSE Arca, Inc. under the symbol "DSTJ."

The notes (Cusip: 46634X864) are expected to price on Sept. 27 and settle on Sept. 30.

J.P. Morgan Securities Inc. is the agent.

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